I see the previous unhelpful reply has been deleted, thats support for you. There are a few ways to get around this with the easiest being using Rocketlauncher to launch all your emus and roms, you can set this up to quit the emus as well as use other bezels if that is what you're into. The other is to use AHK(auto hotkey) and set it up to quit using a controller key ( I think I had mine as button 7+8, menu and view on box one controller ) and either have it launch with RetroFE or with the emu using a bat file, sorry I cant help you with that as I dont seem to have the files anymore. A great resource though is the forum at arcadecontrols where some of the guys like Howard Casto really know their stuff and wont laugh at you.
If you find Rocketlauncher troublesome there are people out there who already set it up and you can find them from the same place you got the one you have now